Asymmetric least squares regression estimation: A nonparametric approach∗
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Publication:4345899
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Cites work
- scientific article; zbMATH DE number 3852235 (Why is no real title available?)
- scientific article; zbMATH DE number 194921 (Why is no real title available?)
- An Empirical Quantile Function for Linear Models with | operatornameiid Errors
- Asymmetric Least Squares Estimation and Testing
- Choosing a kernel regression estimator. With comments and a rejoinder by the authors
- Design-adaptive Nonparametric Regression
- On prediction and chaos in stochastic systems
- Regression Quantiles
Cited in
(51)- Nonparametric regression under dependent errors with infinite variance
- NONNORMAL REGRESSION. II. SYMMETRIC DISTRIBUTIONS
- Dimension reduction techniques for conditional expectiles
- On expectile-assisted inverse regression estimation for sufficient dimension reduction
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- Quantile and expectile smoothing based on L₁-norm and L₂-norm fuzzy transforms
- An SVM-like approach for expectile regression
- Parametric expectile regression and its application for premium calculation
- Simultaneous confidence bands for expectile functions
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Properties of fuzzy transform obtained from \(L_p\) minimization and a connection with Zadeh's extension principle
- Generalizing Koenker's distribution
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Partially Linear Expectile Regression Using Local Polynomial Fitting
- Binary quantile regression and variable selection: a new approach
- Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity
- A continuous threshold expectile model
- Nonparametric estimation equations for time series data.
- A discrete density approach to Bayesian quantile and expectile regression with discrete responses
- Scenario aggregation method for portfolio expectile optimization
- Extremile Regression
- The MLE of Aigner, Amemiya, and Poirier is \textit{not} the expectile MLE
- Modelling additive extremile regression by iteratively penalized least asymmetric weighted squares and gradient descent boosting
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Nonparametric regression expectiles∗
- Econometric modeling of risk measures: a selective review of the recent literature
- An elastic-net penalized expectile regression with applications
- The \(k\)th power expectile regression
- Cross-validatory bandwidth selections for regression estimation based on dependent data
- Extremiles: A New Perspective on Asymmetric Least Squares
- The \(k\)th power expectile estimation and testing
- Efficient estimation in expectile regression using envelope models
- scientific article; zbMATH DE number 775727 (Why is no real title available?)
- Asymmetric Least Squares Estimation and Testing
- Expectile and quantile regression—David and Goliath?
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- Local polynomial expectile regression
- Variable selection in expectile regression
- Nonparametric multiple expectile regression via ER-Boost
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Functional data analysis of generalized regression quantiles
- Bayesian regularisation in geoadditive expectile regression
- Spatio-temporal expectile regression models
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
- Learning rates for kernel-based expectile regression
- Expectile regression via deep residual networks
- Smooth expectiles for panel data using penalized splines
- Flexible Expectile Regression in Reproducing Kernel Hilbert Spaces
- A Local Linear Least-Absolute-Deviations Estimator of Volatility
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
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